Warm-Start Heuristic for Stochastic Portfolio Optimization with Fixed and Proportional Transaction Costs

Tiago Pascoal Filomena, Miguel A. Lejeune. Warm-Start Heuristic for Stochastic Portfolio Optimization with Fixed and Proportional Transaction Costs. J. Optimization Theory and Applications, 161(1):308-329, 2014. [doi]

Authors

Tiago Pascoal Filomena

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Miguel A. Lejeune

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